HB Capital Management Inc. : Stock Index Futures

archived programs
Year-to-Date
N / A
Apr Performance
-0.08%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
8.96%
Sharpe (RFR=1%)
-0.08
CAROR
-
Assets
$ 372k
Worst DD
-8.09
S&P Correlation
0.11

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
3/2014
Stock Index Futures -0.08 - - - - - - -0.11
S&P 500 0.85 - - - - - - 77.79
+/- S&P 500 -0.93 - - - - - - -77.90

Strategy Description

Summary

The Stock Index Futures program utilizes proprietary methodologies for trading the stock market futures indices. Positions may be taken in the S&P 500 and/or Nasdaq futures, with holding periods ranging from a few days to a few weeks. HB may take a long position when a buy signal... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $8.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 400 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
40.00%
Trend-following
60.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Stock Index Futures program utilizes proprietary methodologies for trading the stock market futures indices. Positions may be taken in the S&P 500 and/or Nasdaq futures, with holding periods ranging from a few days to a few weeks. HB may take a long position when a buy signal is generated for the stock market and may take a short position when a sell signal is generated.

Investment Strategy

The Stock Index Futures program uses 15-20 different strategies which seek to capitalize on market opportunities during a trending market. In general, the program looks to initiate long (buy) positions when the stock market is in an uptrend and looks to initiate short (sell) positions when the stock market is in a downtrend. The program employs technical analysis, which is the study of price movement within the context of statistical and probability analysis. We may also use technical analysis on other stock market indicators such as volume, number of advancing/ declining issues and volatility, etc. Fundamental considerations of stock market behavior, such as business and economic factors, governmental policies, supply and demand, weather and other worldwide events are not utilized in the determination of buy and sell signals.

Risk Management

Stop loss orders are employed to limit losses.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-8.09 3 - 8/1/2014 11/1/2014
-0.20 1 1 6/1/2014 7/1/2014
-0.07 1 1 4/1/2014 5/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
4.68 2 2/1/2015 3/1/2015
2.68 1 12/1/2014 12/1/2014
2.13 1 8/1/2014 8/1/2014
1.32 2 3/1/2014 4/1/2014
0.62 1 6/1/2014 6/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.09 3 9/1/2014 11/1/2014
-2.55 1 1/1/2015 1/1/2015
-0.20 1 7/1/2014 7/1/2014
-0.08 1 4/1/2015 4/1/2015
-0.07 1 5/1/2014 5/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable50.0066.6733.33
Average Period Return0.02-0.26-2.11
Average Gain1.632.013.80
Average Loss-1.58-4.81-5.07
Best Period2.684.604.58
Worst Period-7.49-8.09-6.08
Standard Deviation2.593.944.56
Gain Standard Deviation0.961.260.81
Loss Standard Deviation2.763.431.24
Sharpe Ratio (1%)-0.02-0.13-0.57
Average Gain / Average Loss1.030.420.75
Profit / Loss Ratio1.030.840.37
Downside Deviation (10%)2.293.906.23
Downside Deviation (5%)2.153.394.64
Downside Deviation (0%)2.123.274.24
Sortino Ratio (10%)-0.17-0.38-0.74
Sortino Ratio (5%)-0.03-0.15-0.56
Sortino Ratio (0%)0.01-0.08-0.50

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.